3
H index
0
i10 index
26
Citations
Wenying Yao : Citation Profile
Deakin University | RESEARCH PRODUCTION: 12 Articles 8 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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9 years (2012 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao. | Is cited by:
| Cites to:
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Main data
Where Wenying Yao has published?
| Journals with more than one article published | # docs |
|---|---|
| The Economic Record | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Tasmania, Tasmanian School of Business and Economics | 4 |
| Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 2 |
Recent works citing Wenying Yao (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2021 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper |
| 2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
| 2021 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper |
| 2020 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper |
| 2021 | Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160. Full description at Econpapers || Download paper |
| 2020 | Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287. Full description at Econpapers || Download paper |
| 2020 | Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107. Full description at Econpapers || Download paper |
| 2020 | Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data. (2020). Yalaman, Abdullah ; Smith, Peter N. In: Discussion Papers. RePEc:yor:yorken:20/09. Full description at Econpapers || Download paper |
Works by Wenying Yao:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Modelling Financial Contagion Using High Frequency Data In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 2020 | Jump Risk in the US Financial Sector In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | On weak identification in structural VARMA models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
| 2021 | Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2019 | Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Determination of Longâ€run and Shortâ€run Dynamics in ECâ€VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2020 | The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | High frequency characterization of Indian banking stocks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 7 |
| 2014 | Forecasting with EC-VARMA models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Cojump anchoring In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team